Stable processes conditioned to hit an interval continuously from the outside


Döring, Leif ; Weissmann, Philip


URL: https://arxiv.org/abs/1809.06734
Additional URL: https://arxiv.org/pdf/1809.06734.pdf
Document Type: Working paper
Year of publication: 2018
Place of publication: Mannheim [u.a.]
Publication language: English
Institution: School of Business Informatics and Mathematics > Stochastik (Döring 2017-)
Subject: 510 Mathematics
Abstract: Conditioning stable Lévy processes on zero probability events recently became a tractable subject since several explicit formulas emerged from a deep analysis using the Lamperti transformations for self-similar Markov processes. In this article we derive new harmonic functions and use them to explain how to condition stable processes to hit continuously a compact interval from the outside.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Döring, Leif ; Weissmann, Philip (2018) Stable processes conditioned to hit an interval continuously from the outside. Mannheim [u.a.] [Working paper]


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